Measurable Ambiguity†
نویسندگان
چکیده
We introduce and analyze expected uncertain utility theory (EUU). A prior and an interval utility characterize an EUU decision maker. The decision maker uses her subjective prior to transform each uncertain prospect f into an interval-valued prospect f which assigns an interval [x, y] of prizes to each state. The decision maker ranks prospects according to their expected interval utilities E(u(f)) where u is the index that specifies the utility of each interval [x, y]. We define risk and ambiguity aversion for EUU, use the EUU model address the Allais Paradox, the Ellsberg Paradox, the Home Bias and relate these behaviors to the individuals attitude towards risk and ambiguity. † This research was supported by grants from the National Science Foundation.
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